Anyway, since everyone is probably sick of me asking questions I thought I would add this in. I ended up building Boost on Windows XP using a MingW compiler. For anyone else buyilding boost, here's what I did.
Using the command line.
cd c:\boost_1_52_0 c:\boost_1_52_0>bootstrap mingw
"A minute later I get a prompt to hit .\b2 to build so I did that" Not sure what this step did but the next step then worked. "Another minute later"
I'm going ot forget about using the pre-build binaries for now,, not sure what's missing from the instructions Code::Blocks provided. A few of the directories mentioned on the Code::blocks website aren't even there.